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----- Original Message -----
Sent: Friday, February 03, 2006 10:38
AM
Subject: Re: [amibroker] Re: Simple StDev
Question
Hi Bill,
Thanks for the link, but it seems what they offer
is basically definitions ( unless I missed something? ). I was looking
for something a little more in-depth. Actually, I do have a basic
understanding of these things but I hoping to find one site that
would fill in the gaps and tie it all together. I will keep
looking in my spare time - if I find anything good I will post the link.
Thanks again!
Did you click on the links leading to
formula and interpretation?
Steve
----- Original Message -----
Sent: Wednesday, February 01, 2006 8:04
PM
Subject: Re: [amibroker] Re: Simple
StDev Question
----- Original Message -----
Sent: Wednesday, February 01, 2006
4:57 PM
Subject: Re: [amibroker] Re: Simple
StDev Question
Wow, that is quite a link, and now my newest
bookmark. 8 - )
This guy knows all about
everything!
Since he has a bit about statistics, it reminded me
that I was searching the
web a couple of weeks ago for something along
the lines of "Statistics for
Traders". Hopefully something that covers
the statistics used by traders -
things like alpha, beta, correlation,
LinReg, StdDev, etc and leaves out the
rest, and also explains them
all in easy-to-understand terms and in logical
progression. Anyone
know of anything good along these lines? Thanks very
much!
Steve
----- Original Message -----
From:
"treliff" <treliff@xxxxxxxxx>
To:
<amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, February 01, 2006
2:00 PM
Subject: [amibroker] Re: Simple StDev Question
>
Remember though that if you use log, you probably want to convert
all
> other prices in your formula to log prices as well: log(C)
instead of
> C etc.
>
> Then again, e.g. Bollinger bands
don't take the trouble of using log
> but work with straightforward
prices instead. The key is: use log
> consistently or don't use it
at all.
>
> There's this guy called gummy who has lots of info
on this in plain
> English:
>
> http://www.gummy-stuff.org/bolli-bands.htm
>
>
Check out his home page for more market related math
stuff.
>
> Hope this helps.
>
>
-treliff
>
>
> --- In amibroker@xxxxxxxxxxxxxxx,
"axle_d" <axle_d@xxxx> wrote:
>>
>> Terry and
Treliff,
>>
>> Thanks for the help guys. It is exactly
what I thought. Definitely
>> have been thinking about playing
with the log instead.
>>
>>
>> --- In
amibroker@xxxxxxxxxxxxxxx, "treliff" <treliff@xxxx>
wrote:
>> >
>> > StDev(C, 100) is most definitely
standard deviation of the close.
>> >
>> > Indeed
StDev(C-Ref(C,-1), 100) would be stdev of price changes.
>>
>
>> > However you may consider the stdev of PERCENT price
changes
> instead,
>> > because these are supposedly
normally distributed (bellcurve: for
> a
>> > price
series, if all goes well we know how much lies within 1
>
stdev,
>> > 2 stdev's etc).
>> >
>> >
Next step would be to use the logarithmic instead of the %
price
>> > changes (they closely resemble), as it is used in
volatility
>> > calculations:
>> >
>>
> StDev(log(C/Ref(C,-1)),100)
>> >
>> >
Finally, this may not fit in your framework at all :-)
>>
>
>> >
>> > --- In amibroker@xxxxxxxxxxxxxxx,
"Terry" MagicTH@xxxx wrote:
>> > >
>> > >
Not being a real math wizard, it seems like you have the
Close.
>> > > Substitute H-L for C for daily range, or C -
Ref(C,-1) for day
> to
>> > day
>> > >
changes.
>> > >
>> > >
>> >
>
>> > > --
>> > >
>> > >
Terry
>> > >
>> > > -----Original
Message-----
>> > > From: amibroker@xxxxxxxxxxxxxxx
>
[mailto:amibroker@xxxxxxxxxxxxxxx]
>> > On
>> >
> Behalf Of axle_d
>> > > Sent: Monday, January 30, 2006
19:42
>> > > To: amibroker@xxxxxxxxxxxxxxx
>> >
> Subject: [amibroker] Simple StDev Question
>> >
>
>> > >
>> > >
>> > >
trying to code the following:
>> > >
>> > >
tenforty = (MA(C, 10) -MA(C, 40))/StDev(C, 100);
>> >
>
>> > > my question is this:
>> >
>
>> > > I want the StDev to be the 100-day StDev of
price changes, is
> this
>> > what
>> > >
I have above or is it simply the 100-day StDev of closing
prices
>> > >
>> > >
>> > >
Please note that this group is for discussion between users
>
only.
>> > >
>> > > To get support from
AmiBroker please send an e-mail directly to
>> > > SUPPORT
{at} amibroker.com
>> > >
>> > > For other
support material please check also:
>> > > http://www.amibroker.com/support.html
>>
> >
>> > >
>> > >
>> >
>
>> > >
>> > >
>> > >
SPONSORED LINKS
>> > >
>> > >
>>
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>>
> >
>> > > _____
>> > >
>>
> > YAHOO! GROUPS LINKS
>> > >
>> >
>
>> > >
>> > > * Visit your group
"amibroker
>> > > <http://groups.yahoo.com/group/amibroker>
" on the web.
>> > >
>> > >
>> >
> * To unsubscribe from this group, send an email to:
>> >
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>> > >
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>
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Terms of Service.
>> > >
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>>
> >
>> > > _____
>> > >
>>
>
>>
>
>
>
>
>
>
>
>
Please note that this group is for discussion between users
only.
>
> To get support from AmiBroker please send an e-mail
directly to
> SUPPORT {at} amibroker.com
>
> For other
support material please check also:
> http://www.amibroker.com/support.html
>
>
>
Yahoo! Groups
Links
>
>
>
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Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For other support material please check also:
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